Trading volume and contract rollover in futures contracts
(2005)
Journal Article
Holmes, P., & Rougier, J. (2005). Trading volume and contract rollover in futures contracts. Journal of Empirical Finance, 12(2), 317-338. https://doi.org/10.1016/j.jempfin.2004.01.003
Futures trading volume data display strong quarterly seasonality due to the ‘rolling over’ of positions close to the expiry date of the near contract. This undermines the use of volume as a proxy for information arrival. By making explicit the relati... Read More about Trading volume and contract rollover in futures contracts.